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Title: On the determinants of bitcoin returns: A LASSO approach
Authors: Panagiotidis, Theodore
Stengos, Thanasis
Vravosinos, Orestis
Type: Article
Subjects: FRASCATI::Social sciences
Keywords: Bitcoin
Exchange rate
Issue Date: Dec-2018
Publisher: Elsevier
Source: Finance Research Letters
Volume: 27
First Page: 235
Last Page: 240
Abstract: We examine the significance of twenty-one potential drivers of bitcoin returns for the period 2010 to 2017 (2,533 daily observations). Within a LASSO framework, we examine the effects of factors such as stock market returns, exchange rates, gold and oil returns, FED’s and ECB’s rates and internet trends on bitcoin returns for alternate time periods. Search intensity and gold returns emerge as the most important variables for bitcoin returns.
ISSN: 1544-6123
Other Identifiers: 10.1016/
Appears in Collections:Department of Economics

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